The paper presents a study of temporal dependence in nonlinear transformations of time series. We examine the effects of parametric transformations on autocorrelation values and the persistence range with special emphasis on long memory processes. We derive an invariance property for the order...

This paper presents a simple and efficient exogenous outlier detection & estimation algorithm introduced in a regularized version of the Kalman Filter (KF). Exogenous outliers that may occur in the observations are considered as an additional stochastic impulse process in the KF observation...

We propose a new methodology for the analysis of impulse response functions in VAR or VARMA models. More precisely, we build our results on the non ambiguous notion of innovation of a stochastic process and we consider the impact of any kind of new information at a given date $t$ on the future...